| Summary: | 碩士 === 國防大學 === 財務管理學系 === 103 === Owing to highly depend on international trade, Taiwan enterprises face exchange risk. Based on the annual report of listed companies, most firms adopt forward contract to avoid exchange risk. The exchange market efficiency becomes an important issue in Taiwan.
This paper investigates Taiwan foreign exchange market efficiency, during the implementation of the US policy of quantitative easing, using daily data of 30-day、60-day, 90-day and 180-day forward and spot exchange rates quoted in terms of the US dollar which spanned from January 2008 to May 2014, namely whether the forward exchange rate for the future spot rate unbiased estimator. Using unit root test (ADF test) to determine the difference between the two are I(1) time series. Johansen cointegration procedures imply that in addition to 180-day period, I have cointegrated relationship, and then by the vector error correction model (VECM), self-regression vector (VAR), think of 30-day, 60-day, 90-day corresponding period of the future spot exchange rate has efficiency, and 180 days of not having efficiency. In addition, GARCH-M model does not verify the risk-premium phenomenon.
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